Listing for the Central Texas region, Killeen/Fort Hood, where the III Corps "Phantom Warriors" reign, and 45 minutes south on I35 to Austin, home of the Bell of Lost Souls and the Fly Lords of Terra. Possibly the most dense target-rich environment in Texas for 40K and miniature wargaming, though Dallas and San Antonio boast numbers as well, if you're willing to road-trip it.
Killeen Stores - Book Stan, 204 N Fort Hood St # D, Killeen TX
America's Heroes Comics & Games, 104 W Rancier Ave, Killeen TX*
Battlefield Games, 2201 W Stan Schlueter Loop A30, Killeen TX*
Austin Stores - BattleForge Games, 2700 West Anderson Lane, Austin TX*
Dragon's Lair, 6111 Burnet Rd, Austin TX*
Ninja Pirate, 100 12th St # 105, Pflugerville, TX
* = gaming space available